This paper proposes a new unit-root test for the case where a high-dimensional vector of nonstationary time series is considered. A new CLT is being established and studied both theoretically and numerically

We investigate some estimation and testing issues for a class of high-dimensional near unit root time series models. We first study the asymptotic behavior of the first k largest eigenvalues of the sample covariance matrices of the time series model. Then we propose a new estimator for the...